Estimation of dynamic panel data models with a lot of heterogeneity

DOI10.1080/07474938.2021.1899507zbMATH Open1490.62459OpenAlexW3195264229MaRDI QIDQ5065202FDOQ5065202

Authors: Hugo Kruiniger 

Publication date: 18 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2021.1899507

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zbMATH Keywords

fixed effectsGMMdynamic panel dataweak moment conditionslocal asymptoticsquasi MLredundant moment conditions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Another look at the instrumental variable estimation of error-components models
• Formulation and estimation of dynamic models using panel data
• Redundancy of moment conditions
• Efficient estimation of panel data models with sequential moment restrictions
• Analysis of Covariance with Qualitative Data
• Specification Tests in Econometrics
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Initial conditions and moment restrictions in dynamic panel data models
• Efficient estimation of models for dynamic panel data
• A finite sample correction for the variance of linear efficient two-step GMM estimators
• GMM estimation and inference in dynamic panel data models with persistent data
• Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• A weak instrument \(F\)-test in linear IV models with multiple endogenous variables
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• Small sample bias properties of the system GMM estimator in dynamic panel data models
• Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
• On the effect of mean-nonstationarity in dynamic panel data models

Cited In (28)

• Residual-based IV estimation of dynamic panel data models with fixed effects
• New estimators of AR(2) panel data model
• PANEL DATA MODELS WITH FINITE NUMBER OF MULTIPLE EQUILIBRIA
• Reconsidering heterogeneity in panel data estimators of the stochastic frontier model
• Detecting homogenous predictors in high-dimensional panel model with an MCMC algorithm
• Estimation of heterogeneous panels with systematic slope variations
• Dynamic panel GMM using R
• Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance
• Title not available (Why is that?)
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• A Note on Dynamic Modelling from Short and Heterogeneous Pseudo Panels
• Panel AR(1) estimators under misspecification
• Estimation of heterogeneous autoregressive parameters with short panel data
• GMM estimation and inference in dynamic panel data models with persistent data
• Title not available (Why is that?)
• A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √n-Consistent Conditional Estimator
• A new panel data treatment for heterogeneity in time trends
• Fixed T dynamic panel data estimators with multifactor errors
• X-differencing and dynamic panel model estimation
• Heterogeneous structural breaks in panel data models
• Mean average estimation of dynamic panel models with nonstationary initial condition
• Depth-weighted means of noisy data: an application to estimating the average effect in heterogeneous panels
• An efficient linear GMM estimator for the covariance stationary AR(1)/unit root model for panel data
• Unequal spacing in dynamic panel data: identification and estimation
• ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS
• Indirect inference approach to estimating dynamic panel data models with irregular spacing
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both \(N\) and \(T\) are large
• A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables

Uses Software

• UNDERID

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